Dynamic Mean-Variance Asset Allocation

Article, Preprint OPEN
Suleyman Basak; Georgy Chabakauri;
(2009)
  • Journal: The Review of Financial Studies,volume 23,issue 8 8,pages2,970-3,016
  • Related identifiers: doi: 10.1093/rfs/hhq028
  • Subject: Dynamic Programming; Incomplete Markets; Mean-Variance Analysis; Multi-Period Portfolio Choice; Stochastic Investment Opportunities; Time-Consistency
    • jel: jel:G11 | jel:C61 | jel:D81

Mean-variance criteria remain prevalent in multi-period problems, and yet not much is known about their dynamically optimal policies. We provide a fully analytical characterization of the optimal dynamic mean-variance portfolios within a general incomplete-market econom... View more
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